A new fourth-order numerical scheme for option pricing under the CEV model.

Nawdha Thakoor Désiré Yannick Tangman Muddun Bhuruth

Published in: Appl. Math. Lett. (2013)

Keyphrases

objective function
probabilistic model
fourth order
numerical scheme
bayesian networks
high order
partial differential equations
image processing
probability distribution
parameter space
anisotropic diffusion